An optimal approximation of Rosenblatt sheet by multiple Wiener integrals
Probability
2015-05-14 v1
Abstract
Let be the Rosenblatt sheet with the representation where is a Brownian sheet, , and are the given kernel. In this paper, we contruct multiple Wiener integrals of the form \begin{align*} \int^t_0\int^s_0\int^t_0\int^s_0&[k_1(y_1,y_2)^{-\frac12\alpha}(u_1,u_2)^{-\frac12\beta}+k_2(y_1\vee y_2)^{\frac12\alpha}(y_1\wedge y_2)^{-\frac12\alpha}|y_1-y_2|^{\alpha-1}\\ &\cdot(u_1\vee u_2)^{\frac12\beta}(u_1\wedge u_2)^{-\frac12\beta}|u_1-u_2|^{\beta-1}]B(dy_1,du_1)B(dy_2,du_2),~~k_1,k_2\geq0, \end{align*} and obtain an optimal approximation of .
Cite
@article{arxiv.1505.03225,
title = {An optimal approximation of Rosenblatt sheet by multiple Wiener integrals},
author = {Guangjun Shen and Qian Yu},
journal= {arXiv preprint arXiv:1505.03225},
year = {2015}
}
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